Advertisement

On the option valuation and decomposition of exchange option

  • Won Choi
  • Seung Chul Ahn
Article
  • 37 Downloads

Abstract

In this paper, we shall find the uniquerational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option.

AMS Mathematics Subject Classification

60H30 60H20 90A09 

Key words and phrases

Exchange option value function Snell envelope 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    C. Dellacherie and P.A. Meyer,Probabilities and potential theory of martingales, North-Holland, Amsterdam(1982).MATHCrossRefGoogle Scholar
  2. 2.
    I.Karatzas,Lectures on the mathematics of finance, AMS(1996).Google Scholar
  3. 3.
    E. Karoui and I. Karatzas,A new approach to the Skorohod problem and its applications, Stochastics and Stochastic Repts 34, 57–82(1991).MATHGoogle Scholar
  4. 4.
    S. Muller,Arbitrage pricing of contingent claims, Springer-Verlag, Berlin, Heidelberg, New York(1977).Google Scholar

Copyright information

© Korean Society for Computational and Applied Mathematics 2002

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of IncheonIncheonKorea
  2. 2.Department of Computer Science and StatisticsWoo Suk UniversityWan JuKorea

Personalised recommendations